Option Pricing Module - Some Tests



In [1]:

    
#!wget https://raw.githubusercontent.com/oditorium/blog/master/Modules/OptionPricing.py -O OptionPricing.py



In [2]:

    
import OptionPricing as op



In [3]:

    
#help(op)



In [4]:

    
c = op.BSCall(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
p = op.BSPut(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
dc = op.BSDCall(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
dp = op.BSDPut(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
o = p
spot = range(60,140)

Present Value



In [5]:

    
plot(spot, list((o.PV(spot=s),o.PV(spot=s, sig=0.05)) for s in spot))









    Out[5]:





[<matplotlib.lines.Line2D at 0x7f8a50eadcc0>,
 <matplotlib.lines.Line2D at 0x7f8a50eb4080>]

Delta and Cash Delta



In [6]:

    
plot(spot, list((o.Delta(spot=s),o.Delta(spot=s, sig=0.1)) for s in spot))









    Out[6]:





[<matplotlib.lines.Line2D at 0x7f8a50d19518>,
 <matplotlib.lines.Line2D at 0x7f8a50d19898>]



In [7]:

    
plot(spot, list((100.*o.Delta(spot=s),o.DeltaCash(spot=s)) for s in spot))









    Out[7]:





[<matplotlib.lines.Line2D at 0x7f8a50cfba58>,
 <matplotlib.lines.Line2D at 0x7f8a50cfbdd8>]



In [8]:

    
plot(spot, list((o.Delta(spot=s),o.DeltaFwd(fwd=s)) for s in spot))









    Out[8]:





[<matplotlib.lines.Line2D at 0x7f8a50c5d630>,
 <matplotlib.lines.Line2D at 0x7f8a50c5d9b0>]



In [9]:

    
plot(spot, list((o.DeltaCash(spot=s),o.DeltaFwdCash(fwd=s)) for s in spot))









    Out[9]:





[<matplotlib.lines.Line2D at 0x7f8a50c3d320>,
 <matplotlib.lines.Line2D at 0x7f8a50c3d6a0>]

Gamma and Cash Gamma



In [10]:

    
plot(spot, list((o.Gamma(spot=s),o.Gamma(spot=s, sig=0.1)) for s in spot))









    Out[10]:





[<matplotlib.lines.Line2D at 0x7f8a50ba10b8>,
 <matplotlib.lines.Line2D at 0x7f8a50ba1438>]



In [11]:

    
plot(spot, list((10000*o.Gamma(spot=s),o.GammaCash(spot=s)) for s in spot))









    Out[11]:





[<matplotlib.lines.Line2D at 0x7f8a50b09278>,
 <matplotlib.lines.Line2D at 0x7f8a50b095f8>]

Theta (and Gamma)



In [12]:

    
plot(spot, list((o.Theta(spot=s),o.Gamma(spot=s)) for s in spot))









    Out[12]:





[<matplotlib.lines.Line2D at 0x7f8a50ae4eb8>,
 <matplotlib.lines.Line2D at 0x7f8a50aea278>]

Vega, Volga, Vanna



In [13]:

    
plot(spot, list((o.Vega(spot=s),o.Gamma(spot=s, sig=0.1)) for s in spot))









    Out[13]:





[<matplotlib.lines.Line2D at 0x7f8a50a4c390>,
 <matplotlib.lines.Line2D at 0x7f8a50a4c710>]



In [14]:

    
plot(spot, list((o.Vanna(spot=s),o.Vanna(spot=s, sig=0.1)) for s in spot))









    Out[14]:





[<matplotlib.lines.Line2D at 0x7f8a50a340f0>,
 <matplotlib.lines.Line2D at 0x7f8a50a34470>]



In [15]:

    
plot(spot, list((o.Volga(spot=s),o.Volga(spot=s, sig=0.1)) for s in spot))









    Out[15]:





[<matplotlib.lines.Line2D at 0x7f8a509953c8>,
 <matplotlib.lines.Line2D at 0x7f8a50995748>]

Rho and RhoYld



In [16]:

    
plot(spot, list((o.Rho(spot=s),o.RhoYld(spot=s)) for s in spot))









    Out[16]:





[<matplotlib.lines.Line2D at 0x7f8a50978908>,
 <matplotlib.lines.Line2D at 0x7f8a50978c88>]